I got from ebay this 3-Axis compass Magnetic Sensor but i can not even test it.
Which library do i have to use?
I tried the HMC5883L library but it doesn't work.

Who knows? There is no useful information on the sales page, except that communications are 3.3V only. If you connected it to a 5V Arduino, it is probably trashed.

I suggest to toss it in the wastebin and buy something with documentation.